Time-Varying Behavior of Long-Run among Stock Markets in Western Europe

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Abstract: This paper aims to investigate the potential time-varying behavior of long-run stock market relationship in Western Europe Markets (DAX, FTSE100 and CAC40). To do this we apply the Engle-Granger methodology with and no structural breaks. It is shown that indices from these three markets are cointegrated and the change in long-term relationship between them is more unstable for DAX/FTSE100. Also we identified that there is an opposite relationship in long-term changes in these markets, i.e., when the relationship between DAX/CAC40 weakens the relationship between DAX/FTSE100 intensifies.

WSEAS Transactions on Business and Economics, ISSN / E-ISSN: 1109-9526 / 2224-2899, Volume 11, 2014, Art. #37

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Paulo Sergio Ceretta, Marcelo Brutti Righi, Alexandre Silva Da Costa, Fernanda Maria Muller, Janaina Ottonelli, "Time-Varying Behavior of Long-Run among Stock Markets in Western Europe," WSEAS Transactions on Business and Economics, vol. 11, pp. 398-404, 2014, DOI:
Paulo Sergio Ceretta, Marcelo Brutti Righi, Alexandre Silva Da Costa, Fernanda Maria Muller, Janaina Ottonelli. Time-Varying Behavior of Long-Run among Stock Markets in Western Europe. WSEAS Transactions on Business and Economics. 2014;11:398-404.
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